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1cs542g-term1-2007 Notes  Assignment 1 due tonight (email me by tomorrow morning)

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Presentation on theme: "1cs542g-term1-2007 Notes  Assignment 1 due tonight (email me by tomorrow morning)"— Presentation transcript:

1 1cs542g-term1-2007 Notes  Assignment 1 due tonight (email me by tomorrow morning)

2 2cs542g-term1-2007 The Power Method  Start with some random vector v, ||v|| 2 =1  Iterate v=(Av)/||Av||  The eigenvector with largest eigenvalue tends to dominate  How fast? Linear convergence, slowed down by close eigenvalues

3 3cs542g-term1-2007 Shift and Invert (Rayleigh Iteration)  Say the eigenvalue we want is approximately k  The matrix (A- k I) -1 has the same eigenvectors as A  But the eigenvalues are  Use this in the power method instead  Even better, update guess at eigenvalue each iteration:  Gives cubic convergence! (triples the number of significant digits each iteration when converging)

4 4cs542g-term1-2007 Maximality and Orthogonality  Unit eigenvectors v 1 of the maximum magnitude eigenvalue satisfy  Unit eigenvectors v k of the k’th eigenvalue satisfy  Can pick them off one by one, or….

5 5cs542g-term1-2007 Orthogonal iteration  Solve for lots (or all) of eigenvectors simultaneously  Start with initial guess V  For k=1, 2, … Z=AV VR=Z (QR decomposition: orthogonalize Z)  Easy, but slow (linear convergence, nearby eigenvalues slow things down a lot)

6 6cs542g-term1-2007 Rayleigh-Ritz  Aside: find a subset of the eigenpairs E.g. largest k, smallest k  Orthogonal estimate V (n  k) of eigenvectors  Simple Rayleigh estimate of eigenvalues: diag(V T AV)  Rayleigh-Ritz approach: Solve k  k eigenproblem V T AV Use those eigenvalues (Ritz values) and the associated orthogonal combinations of columns of V Note: another instance of “assume solution lies in span of a few basis vectors, solve reduced dimension problem”

7 7cs542g-term1-2007 Solving the Full Problem  Orthogonal iteration works, but it’s slow  First speed-up: make A tridiagonal Sequence of symmetric Householder reflections Then Z=AV runs in O(n 2 ) instead of O(n 3 )  Other ingredients: Shifting: if we shift A by an exact eigenvalue, A- I, we get an exact eigenvector out of QR (the last column) - improves on linear convergence Division: once an offdiagonal is almost zero, problem separates into decoupled blocks

8 8cs542g-term1-2007 Nonlinear optimization  Switch gears a little: we’ve already seen plenty of instances of minimizing, with linear least-squares  What about nonlinear problems?  Find  f(x) is called the objective  This is an unconstrained problem, since no limits on x.

9 9cs542g-term1-2007 Classes of methods  Only evaluate f: Stochastic search, pattern search, cyclic coordinate descent (Gauss-Seidel), genetic algorithms, etc.  Also evaluate ∂f/∂x (gradient vector) Steepest descent and relatives Quasi-Newton methods  Also evaluate ∂ 2 f/∂x 2 (Hessian matrix) Newton’s method and relatives

10 10cs542g-term1-2007 Steepest Descent  The gradient is the direction of fastest change Locally, f(x+dx) is smallest when dx is in the direction of negative gradient  f  The algorithm: Start with guess Until converged:  Find direction  Choose step size  Next guess is

11 11cs542g-term1-2007 Convergence?  At global minimum, gradient is zero: Can test if gradient is smaller than some threshold for convergence Note: scaling problem: min A*f(B*x)+C  However, gradient is also zero at Every local minimum Every local maximum Every saddle-point

12 12cs542g-term1-2007 Convexity  A function is convex if  Eliminates possibility of multiple strict local mins  Strictly convex: at most one local min  Very good property for a problem to have!

13 13cs542g-term1-2007 Selecting a step size  Scaling problem again: physical dimensions of x and gradient may not match  Choosing a step too large: May end up further from minimum  Choosing a step too small: Slow, maybe too slow to actually converge  Line search: keep picking different step sizes until satisfied

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